基于控制论的外汇风险管理的研究
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摘要
经济全球化浪潮席卷了整个世界，各国企业不论是主动还是被动，都不可避免地参与到这场浪潮之中。中国加入世界贸易组织后，中国的企业比以往更加直接面临这场潮流的冲击，企业不论是走出国门开辟战场，还是坚守国内阵地，都急切需要掌握跨国理财相关知识的人才。2005年7月21日中国人民银行公布了“关于完善人民币汇率形成机制改革”的公告，人民币汇率不再单一盯住美元，而是开始实行“以市场供求为基础、参考一篮子货币调节、有管理的浮动汇率制度”，这意味着汇率将因更多的不稳定因素而更经常地波动。由于汇率的波动对公司现金流量，资产和负债以及日常经营产生很大影响，中国跨国经营企业或国外跨国公司都将经常面对外汇风险的威胁。在此背景下，外汇风险问题的研究就显得具有前瞻和重要的现实意义。
将控制论应用于外汇风险管理，无疑为外汇风险的管理提供了一种新视野、新思路。控制是控制论的基本要素，风险控制是外汇风险管理的重要环节，所以控制便是控制论与外汇风险管理的契合点。控制论与外汇风险管理既然有相契合的地方，所以无论从理论上还是实践上分析，控制论应用于外汇风险管理都是可行的，而且具有很大的优越性。为更有效控制外汇风险，文章构建一个外汇风险管理闭环控制系统，对外汇风险进行全面、系统的管理。此系统可分为四个子模块：外汇风险识别模块、外汇风险计量模块、外汇风险控制模块和外汇风险反馈模块。文章对此系统中的重要环节如外汇风险的控制目标、预测汇率的货币购买力误差修正模型、外汇风险管理哲学的选择、规避外汇风险的金融工程方法以及外汇风险管理的信息反馈等进行了重点论述。系统构建后要检验它运行的有效性，文章在第五章以诺基亚公司作为应用外汇风险管理闭环控制系统的案例进行系统有效性验证，归纳出一些对中国企业的外汇风险管理有启示作用的论点。
控制论乃是贯穿全文的研究方法，经过综合概括与具体分析相结合、模型显示与逻辑实证相结合、研究对象的系统性和重点性相结合的方法分析，以期验证外汇风险管理闭环控制系统对跨国公司或跨国经营企业的外汇风险管理的有效性，并提出跨国公司或跨国经营企业外汇风险管理的应用途径。
The tide of economic globalization rolled up the whole world in new century, the enterprise of each country whether active or passive are all participated in this tide inevitably. After China joining the WTO successfully, the enterprises of China face the impact of the tide more seriously than before. The enterprises are all anxious to introduce the talented person of the related multinational knowledge whether come out of the entrance of the country to develop the battlefield or guard firmly the local battlefield. The people's bank of China announced 'Reform on perfecting mechanism of exchange rate of RMB' on July 21 of 2005. Exchange rate of RMB doesn't nail its eyes on the US dollar only, but starts to implement the floating exchange rate system. This floating exchange rate system is manageable which took the market's supply and need as the foundation and took a basket of currencies as a reference. It means the exchange rate will fluctuate more frequently than before. Because the exchange rate effect the company's cash flow, assets, liabilities and usual operation greatly, the Chinese multinational enterprise are threaten by the foreign exchange risk. Under this background, the research of the foreign exchange risk seems to be realistic and important.
The fact provides a new visual field and a new way of thinking doubtlessly that cybernetics is applied into the management of foreign exchange risks. Control is an essential element of cybernetics and the risk control is an important link of the management of foreign exchange risk. So control would be the link point between cybernetics and the foreign exchange risks. As for the mutual point, the application research of cybernetics on the foreign exchange risk not only is viable but also has superiority. In order to control the foreign exchange risk more effectively, we set up a closed cycle control system to manage the foreign exchange risk. This system is divided into four parts. First is identification part of the foreign exchange risk. Second is calculation part of the foreign exchange risk. Third is control part of the foreign exchange risk. And the last one is feedback part of the foreign exchange risk. The article elaborates the important link of the system, such as the control target of the foreign exchange risk, the inaccuracy and revised model of Parity of Purchasing Power (PPP), the selection of philosophic of the foreign exchange risk management, the financial engineering methods of evading the foreign exchange risk and the information feedback. After established the closed cycle control system, its effectiveness needs to be examined. The effectiveness is tested by the case of NOKIA carrying on the closed cycle control system at chapter 5. Some enlightening issues are induced for the foreign exchanges risk management of Chinese enterprises.
Cybernetics is a research method that runs through the whole article. Through the method of synthesized summing up combined with the concrete analysis, the substantial evidence studies combined with normalized analysis, the model manifestation combined with the logic substantial evidences, 'systematic study combine with emphasis research, we can know that the closed cycle control system is valid for foreign exchange risk management of multinational corporation.
将控制论应用于外汇风险管理，无疑为外汇风险的管理提供了一种新视野、新思路。控制是控制论的基本要素，风险控制是外汇风险管理的重要环节，所以控制便是控制论与外汇风险管理的契合点。控制论与外汇风险管理既然有相契合的地方，所以无论从理论上还是实践上分析，控制论应用于外汇风险管理都是可行的，而且具有很大的优越性。为更有效控制外汇风险，文章构建一个外汇风险管理闭环控制系统，对外汇风险进行全面、系统的管理。此系统可分为四个子模块：外汇风险识别模块、外汇风险计量模块、外汇风险控制模块和外汇风险反馈模块。文章对此系统中的重要环节如外汇风险的控制目标、预测汇率的货币购买力误差修正模型、外汇风险管理哲学的选择、规避外汇风险的金融工程方法以及外汇风险管理的信息反馈等进行了重点论述。系统构建后要检验它运行的有效性，文章在第五章以诺基亚公司作为应用外汇风险管理闭环控制系统的案例进行系统有效性验证，归纳出一些对中国企业的外汇风险管理有启示作用的论点。
控制论乃是贯穿全文的研究方法，经过综合概括与具体分析相结合、模型显示与逻辑实证相结合、研究对象的系统性和重点性相结合的方法分析，以期验证外汇风险管理闭环控制系统对跨国公司或跨国经营企业的外汇风险管理的有效性，并提出跨国公司或跨国经营企业外汇风险管理的应用途径。
The tide of economic globalization rolled up the whole world in new century, the enterprise of each country whether active or passive are all participated in this tide inevitably. After China joining the WTO successfully, the enterprises of China face the impact of the tide more seriously than before. The enterprises are all anxious to introduce the talented person of the related multinational knowledge whether come out of the entrance of the country to develop the battlefield or guard firmly the local battlefield. The people's bank of China announced 'Reform on perfecting mechanism of exchange rate of RMB' on July 21 of 2005. Exchange rate of RMB doesn't nail its eyes on the US dollar only, but starts to implement the floating exchange rate system. This floating exchange rate system is manageable which took the market's supply and need as the foundation and took a basket of currencies as a reference. It means the exchange rate will fluctuate more frequently than before. Because the exchange rate effect the company's cash flow, assets, liabilities and usual operation greatly, the Chinese multinational enterprise are threaten by the foreign exchange risk. Under this background, the research of the foreign exchange risk seems to be realistic and important.
The fact provides a new visual field and a new way of thinking doubtlessly that cybernetics is applied into the management of foreign exchange risks. Control is an essential element of cybernetics and the risk control is an important link of the management of foreign exchange risk. So control would be the link point between cybernetics and the foreign exchange risks. As for the mutual point, the application research of cybernetics on the foreign exchange risk not only is viable but also has superiority. In order to control the foreign exchange risk more effectively, we set up a closed cycle control system to manage the foreign exchange risk. This system is divided into four parts. First is identification part of the foreign exchange risk. Second is calculation part of the foreign exchange risk. Third is control part of the foreign exchange risk. And the last one is feedback part of the foreign exchange risk. The article elaborates the important link of the system, such as the control target of the foreign exchange risk, the inaccuracy and revised model of Parity of Purchasing Power (PPP), the selection of philosophic of the foreign exchange risk management, the financial engineering methods of evading the foreign exchange risk and the information feedback. After established the closed cycle control system, its effectiveness needs to be examined. The effectiveness is tested by the case of NOKIA carrying on the closed cycle control system at chapter 5. Some enlightening issues are induced for the foreign exchanges risk management of Chinese enterprises.
Cybernetics is a research method that runs through the whole article. Through the method of synthesized summing up combined with the concrete analysis, the substantial evidence studies combined with normalized analysis, the model manifestation combined with the logic substantial evidences, 'systematic study combine with emphasis research, we can know that the closed cycle control system is valid for foreign exchange risk management of multinational corporation.
引文
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[4] 维纳．控制论(或关于在动物和机器中的控制和通讯的科学)[M]，1948年版
[5] 尤学军．企业外汇风险现状及防范策略[J]．河南科技 2006，03
[6] 杜进朝．汇率变动与贸易发展[M]．上海：上海财经大学出版社，2004．3 P9
[7] 刘亚．国际金融风险论[M]．北京：中国金融出版社，1995P165-227
[8] 涂永红．外汇管理风险[M]．北京：中国人民大学出版社，2004．7
[9] 引自硕博论文套期保值技术及其在汇率风险管理中的应用研究)
[10] 刘传哲．金融工程原理与应用研究[M]．徐州：中国矿业大学出版社，1998：P83-112
[11] 施兵超，杨文泽．金融风险管理[M]上海：上海财经大学出版社，1999P127-176
[12] 王巍．金融工程在企业外汇风险管理中的运用[D]．上海：上海交通大学，2001．2
[13] 董德志．涉外经营企业外汇风险管理系统的构建与分析[D]．河海大学2001．12
[14] 王行愚．控制论基础[M]．上海：华东化工学院出版社，1989．2 P6
[15] 孙毅．控制论与会计控制系统[J]．天津：天津财经学院 2004
[16] Alder. Michael and Bernard Dumas, Exposure to Currency Risk: Definin and Measurement Management[M]. 1984p41—50
[17] Andersen lortien The distribution exchange rate volatility [J]. The American Statistical Association, 1999 p42—55
[18] 蒋屏．国际财务管理[M]．对外经济贸易大学出版社，2004，2
[19] Basle Committee on Banking Supervision. Amendment to the Capital Accord to Incorporate Market Risks [J]. Journal of Finance 1996
[20] 杜进朝．汇率变动与贸易发展[M]．上海：上海财经大学出版社，2004，39
[21] 董肇君．系统工程运筹学[M]．北京：国防工业出版社，2003．1P
[22] 王行愚．控制论基础[M]．上海：华东化工学院出版社，1989．2 P14
[23] Basel Committee on Banking Supervision. The New Basel Capital Accord [J], Bank for International Settlements (BIS), 2003
[24] 涂永红．外汇管理风险[M]．北京：中国人民大学出版社，2004．7P187—240
[25] 刘君等译．汇率预测-技术与应用[M]．北京：经济管理出版社，2004．4 P271
[26] 戴金平，李治．外汇风险-模型、工具、和管理策略[M]．天津：南开大学出版社，2004，12
[27] Bartov Elf. Valuation Earnings expectations and the Exchange-rate Exposure Effect [J]. Journal of Finance 1994 p1755—1788
[28] 刘君等译．汇率预测-技术与应用[M]．北京：经济管理出版社，2004．4 P273
[29] 唐国兴、徐剑刚．现代汇率理论及模型研究[M]．北京．中国金融出版社，2003．12P13—17
[30] Engle, Granger. Cointegration and error correction: representation, estimation and testing[J]. Econometrica, 1987,55:251-76
[31] 张晓峒．计量经济学基础[M]．天津：南开大学出版社，2004．9：P337
[32] Granger, Newbold P.Spurious regressions in econometrics [J]. Journal of econometrics,1974,2:111
[33] 郭齐胜．系统建模原理与方法[M]．武汉：国防科技大学出版社，2003，6：207
[34] Evans, Savin NE. Testing for unit roots[J]. Econometrica, 1981,49:753
[35] 李子耐，叶阿忠．高等计量经济学[M]．北京：清华大学出版社，2000．9 P53-55
[36] 李子耐．计量经济学[M]．北京：高等教育出版社，2000．7 P124
[37] 王建新、崔伟利．首席财务官-跨国公司全球价值最大化的设计师[M]． 上海：复旦大学出版社，2004．12 P108
[38] A．G．马利亚里斯，经济学和金融学中的随机方法[M]．上海：上海人民出版社，2004，4
[39] 王仁祥、喻平．金融风险管理[M]武汉．武汉理工大学出版社，2004．12P82
[40] Andrew Jameson & Blaise Gadanecz, OTC Derivatives Market Active in the First Half of 2003 [J], Bank for International Settlements (BIS) 2003
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